Ponzi Adam, Lillo Fabrizio, Mantegna Rosario N
INFM-CNR, Unità di Palermo, I-90128 Palermo, Italy.
Phys Rev E Stat Nonlin Soft Matter Phys. 2009 Jul;80(1 Pt 2):016112. doi: 10.1103/PhysRevE.80.016112. Epub 2009 Jul 16.
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden variation of the spread in a double auction financial market. We find that the spread decays as a power law to its normal value. We measure the price reversion dynamics and the permanent impact, i.e., the long-time effect on price, of a generic event altering the spread and we find an approximately linear relation between immediate and permanent impact. We hypothesize that the power-law decay of the spread is a consequence of the strategic limit order placement of liquidity providers. We support this hypothesis by investigating several quantities, such as order placement rates and distribution of prices and times of submitted orders, which affect the decay of the spread.
我们研究了在双重拍卖金融市场中，买卖价差突然变化后买卖价差和中间价格的松弛动力学。我们发现价差以幂律形式衰减至其正常值。我们测量了价格反转动力学以及改变价差的一般事件对价格的长期影响，即永久性影响，并且发现即时影响和永久性影响之间存在近似线性关系。我们假设价差的幂律衰减是流动性提供者策略性限价订单放置的结果。我们通过研究几个影响价差衰减的量，如订单放置率、提交订单的价格和时间分布，来支持这一假设。
